S&P Futures Explode 40 Points Higher In One Tick On $7 Billion Market On Close Imbalance How do you make sure that an extremely illiquid market trades like a penny stock? By accumulating enough shares to build up a market on close imbalance of over $7 billion, and wait for the exchange to disclose what the MOC was. Here is a chart of what happened at precisely 3:50pm when we learned that there was a $7 billion market on close imbalance, most likely the result of the previously discussed $850 billion in month and quarter end pension fund rebalance. And now you know just how much "liquidity" there is in this market. Will this move stick, or will it be faded once it emerges that this was just a headline-scanning algos sweeping all the offers for 40 ES points? Find out right after the close. Tyler Durden Thu, 03/26/2020 - 16:01